I wouldn't put too much stock in internet reports about incompatible screens. You can reasonably assume that if you buy a screen for an iPhone XR, that screen will work on any iPhone XR; if it doesn't it's defective and should be returned for replacement or refund.
As Jesse already pointed out, you should probably try your old screen and verify that the touchscreen works on it. If it does, that points squarely at the new screen's digitizer being faulty, whereupon you should contact the seller about it being covered under warranty.
But before you go quite that far, do as Jesse suggested and get yourself a magnifying glass and check the pins on the digitizer's connector - both the one on the motherboard and the one on the cable. Look for any bent or broken pins; if you find any that are bent they can frequently be straightened out with a pair of fine tip tweezers. Once you're satisfied the connectors look okay, clean them with 90% or higher concentration of isopropyl alcohol, then reconnect and retest.
If it still fails after that, then it's time to pursue your warranty and see about getting a replacement screen.